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Levy-type stochastic integrals with regularly varying tails

By D. Applebaum

Abstract

Levy-type stochastic integrals M = (M(t), t ≥ 0) are obtained by integrating suitable predictable mappings against Brownian motion B and an independent Poisson random measure N. We establish conditions under which teh right tails of M are of regular variation. In particular, we require that the intensity measure associated to N is the product of a regularly varying Lvy measure with Lebesgue measure. Both univariate and multivariate versions of the problem are considered

Publisher: Taylor & Francis
Year: 2005
OAI identifier: oai:eprints.whiterose.ac.uk:9795

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